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https://doi.org/10.2139/ssrn.1006754

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inferredcites →https://doi.org/10.1002/jae.710openalex-extracted
Value‐at‐risk for long and short trading positions
inferredcites →https://doi.org/10.1016/0304-405x(96)00875-6openalex-extracted
Modeling the conditional distribution of interest rates as a regime-switching process
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Prediction in dynamic models with time-dependent conditional variances
inferredcites →https://doi.org/10.1016/0304-4076(94)90067-1openalex-extracted
Autoregressive conditional heteroskedasticity and changes in regime
inferredcites →https://doi.org/10.1016/0304-4076(95)01737-2openalex-extracted
Modeling volatility persistence of speculative returns: A new approach
inferredcites →https://doi.org/10.1016/b978-012598275-7.50007-7openalex-extracted
Filtering and Forecasting With Misspecified Arch Models I: Getting The Right Variance With The Wrong Model*
inferredcites →https://doi.org/10.1016/j.csda.2004.12.008openalex-extracted
Bootstrap prediction for returns and volatilities in GARCH models
inferredcites →https://doi.org/10.1016/s0378-4266(02)00283-2openalex-extracted
On the coherence of expected shortfall
inferredcites →https://doi.org/10.1017/s0770451800004346openalex-extracted
Smooth Transition Garch Models: a Bayesian Perspective
inferredcites →https://doi.org/10.1080/01621459.1992.10475289openalex-extracted
Facilitating the Gibbs Sampler: The Gibbs Stopper and the Griddy-Gibbs Sampler
inferredcites →https://doi.org/10.1080/07350015.1990.10509794openalex-extracted
Persistence in Variance, Structural Change, and the GARCH Model
inferredcites →https://doi.org/10.1093/biomet/57.1.97openalex-extracted
Monte Carlo sampling methods using Markov chains and their applications
inferredcites →https://doi.org/10.1093/biomet/75.3.491openalex-extracted
Testing Linearity Against Smooth Transition Autoregressive Models
inferredcites →https://doi.org/10.1093/jjfinec/nbh020openalex-extracted
A New Approach to Markov-Switching GARCH Models
inferredcites →https://doi.org/10.1093/rfs/6.2.293openalex-extracted
Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities
inferredcites →https://doi.org/10.1111/1368-423x.11003openalex-extracted
Bayesian inference on GARCH models using the Gibbs sampler
inferredcites →https://doi.org/10.1111/1467-9965.00068openalex-extracted
Coherent Measures of Risk
inferredcites →https://doi.org/10.1162/003465304323023886openalex-extracted
Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects
inferredcites →https://doi.org/10.1198/07350010152596718openalex-extracted
Testing Density Forecasts, With Applications to Risk Management
inferredcites →https://doi.org/10.21314/jor.2005.112openalex-extracted
Estimation risk in financial risk management
inferredcites →https://doi.org/10.2139/ssrn.914144openalex-extracted
Regime Switching GARCH Models
inferredcites →https://doi.org/10.2202/1558-3708.1269openalex-extracted
Can GARCH Models Capture Long-Range Dependence?
inferredcites →https://doi.org/10.3905/jod.1995.407942openalex-extracted
Techniques for Verifying the Accuracy of Risk Measurement Models
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